The company shorted the ABX index just like the hedge fund in Chapeter 4, earning more than $1 billion in profits during 2007. During this period, senior executives were monitoring the value-at-risk … associated with the firm's mortgage position, as well as grilling the mortgage traders on the rationale for their bets. On separate occasions, the executives forced the traders to downsize their positions, even though the trades were profitable, in order to keep the VaR in check. At other times they allowed the VaR to rise to an all-time high.
Fat tail of the day, oil edition - Felix Salmon
Commodities sell-off 2011: is this it? – FT Alphaville
Glencore has bigger risk appetite than Wall St – FT